A Note on Optimal Fees for Constant Function Market Makers

Electronic platforms and high frequency traders (HFTs) have changed the nature of trading. Like equity markets, commodity markets have experienced an influx of algorithmic traders and a decline in “pit” or open outcry trading. Regulatory efforts to understand the effects of HFTs and to offer prudent guidelines or new rules are in their infancy. An overall hesitancy exists because academic studies have produced diverse results on liquidity, volatility, and market quality. This survey focuses on high frequency trading research in commodity derivative markets, documenting basic results and extracting inferences when warranted. Evidence indicates that HFTs act as market makers and their speed advantage has lowered transaction costs, generally during normal markets. Although not entirely conclusive, evidence also suggests that HFTs may exacerbate volatility by withdrawing liquidity in times of market stress, such as during “flash” crashes.

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Some remarks on the stability of the Cauchy equation and completeness

Aequationes Mathematicae ◽

10.1007/s00010-021-00804-y ◽

2021 ◽

Author(s):

Harald Fripertinger ◽

Jens Schwaiger

Keyword(s):

Normed Space ◽

Additive Function ◽

Functional Equations ◽

Constant Function ◽

Cauchy Equation ◽

Cauchy Difference ◽

International Conference ◽

The Difference ◽

The Stability ◽

The Given

AbstractIt was proved in Forti and Schwaiger (C R Math Acad Sci Soc R Can 11(6):215–220, 1989), Schwaiger (Aequ Math 35:120–121, 1988) and with different methods in Schwaiger (Developments in functional equations and related topics. Selected papers based on the presentations at the 16th international conference on functional equations and inequalities, ICFEI, Bȩdlewo, Poland, May 17–23, 2015, Springer, Cham, pp 275–295, 2017) that under the assumption that every function defined on suitable abelian semigroups with values in a normed space such that the norm of its Cauchy difference is bounded by a constant (function) is close to some additive function, i.e., the norm of the difference between the given function and that additive function is also bounded by a constant, the normed space must necessarily be complete. By Schwaiger (Ann Math Sil 34:151–163, 2020) this is also true in the non-archimedean case. Here we discuss the situation when the bound is a suitable non-constant function.

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Do Stock Markets Catch the Flu?

Journal of Financial and Quantitative Analysis ◽

10.1017/s0022109013000239 ◽

2013 ◽

Vol 48 (3) ◽

pp. 979-1000 ◽

Cited By ~ 11

Author(s):

Brian C. McTier ◽

Yiuman Tse ◽

John K. Wald

Keyword(s):

United States ◽

New York ◽

New York City ◽

Stock Markets ◽

The United States ◽

Trading Activity ◽

Market Makers ◽

International Data ◽

The Impact ◽

Bid Ask Spreads

AbstractWe examine the impact of influenza on stock markets. For the United States, a higher incidence of flu is associated with decreased trading, decreased volatility, decreased returns, and higher bid-ask spreads. Consistent with the flu affecting institutional investors and market makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is related to the incidence of flu nationally. International data confirm our findings of a decrease in trading activity and returns when flu incidence is high.

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Market Makers and Liquidity Premium in Electricity Futures Markets

The Energy Journal ◽

10.5547/01956574.43.2.jpen ◽

2022 ◽

Vol 43 (2) ◽

Author(s):

Juan Ignacio Peña ◽

Rosa Rodríguez

Keyword(s):

Futures Markets ◽

Liquidity Premium ◽

Market Makers

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